Macroeconomic expectations: news sentiment analysis

Nataliia Ostapenko

No wp2020-5, Bank of Estonia Working Papers from Bank of Estonia

Abstract: I investigate the role that news sentiment plays in the macroeconomy. Using an approach that combines Doc2Vec embedding and Latent Dirichlet Allocation with lexical-based models I show that the news the media choose to report and the tone of these reports contain impor- tant information for household unemployment, interest rates, and in ation expectations. Topic time series derived from the news and the sentiments they express are employed to estimate how the news a ects the macroeconomy.

Keywords: expectations; sentiment; news; Latent Dirichlet Allocation (LDA); Doc2Vec (search for similar items in EconPapers)
JEL-codes: E00 E31 E52 (search for similar items in EconPapers)
Date: 2020-08-13, Revised 2020-08-13
New Economics Papers: this item is included in nep-big and nep-mac
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Citations: View citations in EconPapers (1)

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